Corrected-Hill versus partially reduced-bias value-at-risk estimation (Q5088009): Difference between revisions

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Latest revision as of 12:38, 29 July 2024

scientific article; zbMATH DE number 7552629
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English
Corrected-Hill versus partially reduced-bias value-at-risk estimation
scientific article; zbMATH DE number 7552629

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    Corrected-Hill versus partially reduced-bias value-at-risk estimation (English)
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    4 July 2022
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    heavy right tails
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    heuristic sample fraction selection
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    Monte-Carlo simulation
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    semi-parametric estimation
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    statistics of extremes
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    value-at-risk estimation
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